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A general framework for the benchmark pricing in a fully collateralized market
Fuji, Masaaki; Takahashi, Akihiko - In: International journal of financial engineering 3 (2016) 3, pp. 1-30
Persistent link: https://www.econbiz.de/10011587747
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OIS discounting, interest rate derivatives, and the modeling of stochastic interest rate spreads
Hull, John; White, Alan - In: Journal of investment management : JOIM 13 (2015) 1, pp. 64-83
Persistent link: https://www.econbiz.de/10011635240
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Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model
Karlsson, Patrik; Jain, Shashi; Oosterlee, Cornelis … - In: International journal of financial engineering 3 (2016) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10011532753
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Valuation of CMS range notes in a multifactor LIBOR market model
Wu, Ping; Elliott, Robert J. - In: International journal of financial engineering 3 (2016) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10011532755
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Real rate swaption and zero coupon inflation index swaption
Kamtchueng, Christian - In: International journal of bonds and derivatives 3 (2017) 1, pp. 21-43
Persistent link: https://www.econbiz.de/10011807756
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Calibration of the Libor market model using correlations implied by CMS spread options
Börger, Reik H.; Heys, Jan van - In: Applied mathematical finance 17 (2010) 5/6, pp. 453-469
Persistent link: https://www.econbiz.de/10008797251
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Calibration of the Libor Market Model Using Correlations Implied by CMS Spread Options
Heys, Jan van - 2011
gives a satisfactory fit to the market. We conclude our investigation with a pricing of a callable swap on cms spread using …
Persistent link: https://www.econbiz.de/10013134183
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On Valuing Constant Maturity Swap Spread Derivatives
Tchuindjo, Léonard - 2013
between major constant maturity swap (CMS) indexes, we propose an easy-to-implement two-factor model for valuing CMS spread …
Persistent link: https://www.econbiz.de/10013079656
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Capital market finance : an introduction to primitive assets, derivatives, portfolio management and risk
Poncet, Patrice; Portait, Roland; Toder, Igor - 2022
Persistent link: https://www.econbiz.de/10012628654
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On the American swaption in the linear-rational framework
Filipović, Damir; Kitapbayev, Yerkin - In: Quantitative finance 18 (2018) 11, pp. 1865-1876
Persistent link: https://www.econbiz.de/10012262857